Arx Fatalis scared me one night, I consider it a pretty great gaming moment.
Was like 3 am, had been playing the game for hours in the dark, suddenly the screen goes black. Voice suddenly booms out something to the extent of "come to mee… I own you now..".

Kinda freaked me out, felt like I had entered an altered state or something! Had some dark overlord finally come for my soul? Was the computer itself channeling some evil spirit or something? Was the computer even ON anymore?